In Search of Leading Indicators of Economic Activity in Germany
University of Hamburg
Hamburg University, Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)
CESifo Working Paper Series No. 571
In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtained optimal inferences of business cycle turning points indicate that the two-state regime switching procedure leads to a successful representation of the sample data and provides an appropriate tool for forecasting business conditions.
Number of Pages in PDF File: 28
Keywords: Business Cycles, Leading Indicators, Turning Points, Markov Switching, Germany
JEL Classification: C32, C53working papers series
Date posted: October 23, 2001
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